| Metric | Strategy |
|---|---|
| Risk-Free Rate | 0.0% |
| Time in Market | 99.0% |
| Cumulative Return | 31,324.20% |
| CAGR﹪ | 4.16% |
| Sharpe | 0.41 |
| Prob. Sharpe Ratio | 100.0% |
| Smart Sharpe | 0.41 |
| Sortino | 0.58 |
| Smart Sortino | 0.58 |
| Sortino/√2 | 0.41 |
| Smart Sortino/√2 | 0.41 |
| Omega | 1.08 |
| Max Drawdown | -86.19% |
| Longest DD Days | 9136 |
| Volatility (ann.) | 18.68% |
| Calmar | 0.05 |
| Skew | -0.13 |
| Kurtosis | 17.03 |
| Expected Daily | 0.02% |
| Expected Monthly | 0.49% |
| Expected Yearly | 6.04% |
| Kelly Criterion | 4.1% |
| Risk of Ruin | 0.0% |
| Daily Value-at-Risk | -1.9% |
| Expected Shortfall (cVaR) | -1.9% |
| Max Consecutive Wins | 14 |
| Max Consecutive Losses | 12 |
| Gain/Pain Ratio | 0.08 |
| Gain/Pain (1M) | 0.41 |
| Payoff Ratio | 0.96 |
| Profit Factor | 1.08 |
| Common Sense Ratio | 1.06 |
| CPC Index | 0.55 |
| Tail Ratio | 0.98 |
| Outlier Win Ratio | 4.39 |
| Outlier Loss Ratio | 4.31 |
| MTD | -6.27% |
| 3M | -6.53% |
| 6M | -2.74% |
| YTD | -5.11% |
| 1Y | 6.33% |
| 3Y (ann.) | 7.05% |
| 5Y (ann.) | 9.74% |
| 10Y (ann.) | 7.12% |
| All-time (ann.) | 4.16% |
| Best Day | 16.61% |
| Worst Day | -20.47% |
| Best Month | 39.14% |
| Worst Month | -29.94% |
| Best Year | 45.02% |
| Worst Year | -47.07% |
| Avg. Drawdown | -2.51% |
| Avg. Drawdown Days | 53 |
| Recovery Factor | 8.64 |
| Ulcer Index | 0.31 |
| Serenity Index | 0.49 |
| Avg. Up Month | 3.74% |
| Avg. Down Month | -3.92% |
| Win Days | 53.05% |
| Win Month | 59.52% |
| Win Quarter | 63.5% |
| Win Year | 67.35% |
| Year | Return | Cumulative |
|---|---|---|
| 1928 | 32.68% | 37.11% |
| 1929 | -5.73% | -11.91% |
| 1930 | -29.78% | -28.48% |
| 1931 | -55.51% | -47.07% |
| 1932 | -1.87% | -14.78% |
| 1933 | 47.77% | 44.08% |
| 1934 | -1.46% | -4.71% |
| 1935 | 36.33% | 41.37% |
| 1936 | 26.19% | 27.92% |
| 1937 | -44.37% | -38.59% |
| 1938 | 26.96% | 24.55% |
| 1939 | -2.04% | -5.17% |
| 1940 | -13.93% | -15.09% |
| 1941 | -18.56% | -17.86% |
| 1942 | 12.64% | 12.43% |
| 1943 | 18.64% | 19.45% |
| 1944 | 13.34% | 13.8% |
| 1945 | 27.62% | 30.72% |
| 1946 | -10.34% | -11.87% |
| 1947 | 0.99% | 0.0% |
| 1948 | 0.43% | -0.65% |
| 1949 | 10.56% | 10.46% |
| 1950 | 20.74% | 21.68% |
| 1951 | 15.72% | 16.35% |
| 1952 | 11.45% | 11.78% |
| 1953 | -6.4% | -6.62% |
| 1954 | 37.64% | 45.02% |
| 1955 | 24.62% | 26.4% |
| 1956 | 3.35% | 2.62% |
| 1957 | -14.6% | -14.31% |
| 1958 | 32.67% | 38.06% |
| 1959 | 8.58% | 8.48% |
| 1960 | -2.48% | -2.97% |
| 1961 | 21.2% | 23.13% |
| 1962 | -11.19% | -11.81% |
| 1963 | 17.72% | 18.89% |
| 1964 | 12.34% | 12.97% |
| 1965 | 8.92% | 9.06% |
| 1966 | -13.33% | -13.09% |
| 1967 | 18.66% | 20.09% |
| 1968 | 7.77% | 7.66% |
| 1969 | -11.56% | -11.36% |
| 1970 | 1.25% | 0.1% |
| 1971 | 10.77% | 10.79% |
| 1972 | 14.84% | 15.63% |
| 1973 | -17.82% | -17.37% |
| 1974 | -32.87% | -29.72% |
| 1975 | 28.62% | 31.55% |
| 1976 | 18.14% | 19.15% |
| 1977 | -11.81% | -11.5% |
| 1978 | 1.84% | 1.06% |
| 1979 | 12.2% | 12.31% |
| 1980 | 24.3% | 25.77% |
| 1981 | -9.33% | -9.73% |
| 1982 | 15.43% | 14.76% |
| 1983 | 16.82% | 17.27% |
| 1984 | 2.2% | 1.4% |
| 1985 | 23.9% | 26.33% |
| 1986 | 14.73% | 14.62% |
| 1987 | 7.51% | 2.03% |
| 1988 | 13.16% | 12.4% |
| 1989 | 24.97% | 27.25% |
| 1990 | -5.51% | -6.56% |
| 1991 | 24.39% | 26.31% |
| 1992 | 4.84% | 4.46% |
| 1993 | 7.19% | 7.06% |
| 1994 | -1.07% | -1.54% |
| 1995 | 29.67% | 34.11% |
| 1996 | 19.16% | 20.26% |
| 1997 | 28.67% | 31.01% |
| 1998 | 25.7% | 26.67% |
| 1999 | 19.47% | 19.53% |
| 2000 | -8.24% | -10.14% |
| 2001 | -11.69% | -13.04% |
| 2002 | -23.24% | -23.37% |
| 2003 | 24.87% | 26.38% |
| 2004 | 9.23% | 8.99% |
| 2005 | 3.48% | 3.0% |
| 2006 | 13.27% | 13.62% |
| 2007 | 4.74% | 3.53% |
| 2008 | -40.15% | -38.49% |
| 2009 | 24.78% | 23.45% |
| 2010 | 13.66% | 12.78% |
| 2011 | 2.71% | -0.0% |
| 2012 | 13.39% | 13.41% |
| 2013 | 26.55% | 29.6% |
| 2014 | 11.43% | 11.39% |
| 2015 | 0.47% | -0.73% |
| 2016 | 9.96% | 9.54% |
| 2017 | 17.98% | 19.42% |
| 2018 | -4.99% | -6.24% |
| 2019 | 26.16% | 28.88% |
| 2020 | 21.05% | 16.26% |
| 2021 | 24.68% | 26.89% |
| 2022 | -18.71% | -19.44% |
| 2023 | 22.55% | 24.23% |
| 2024 | 21.76% | 23.31% |
| 2025 | -4.93% | -5.11% |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 1929-09-17 | 1954-09-21 | -86.19 | 9136 |
| 2007-10-10 | 2013-03-27 | -56.78 | 1996 |
| 2000-03-27 | 2007-05-29 | -49.15 | 2620 |
| 1973-01-12 | 1980-07-16 | -48.20 | 2743 |
| 1968-12-02 | 1972-03-03 | -36.06 | 1188 |
| 2020-02-20 | 2020-08-17 | -33.92 | 180 |
| 1987-08-26 | 1989-07-25 | -33.51 | 700 |
| 1961-12-13 | 1963-08-30 | -27.97 | 626 |
| 1980-12-01 | 1982-11-02 | -27.11 | 702 |
| 2022-01-04 | 2024-01-18 | -25.43 | 745 |